Options with Historical High Probability - Put Writing Strategy Insights
This analysis tests whether options that previously had high probability (80%+) but dropped to lower levels still expire worthless more often than their current probability suggests. You can now explore different historical peak thresholds (80%, 85%, 90%, 95%) to see how the advantage varies.
Options that previously peaked at high probability levels perform significantly better than their current probability suggests.
| Threshold | Method | Current Prob | DTE | Recovery Candidate Rate | Baseline Rate | Advantage |
|---|---|---|---|---|---|---|
| 80%+ | Bayesian Calibrated | 60-70% | 36+ days | 75.2% (49,626) | 21.1% (10,799) | +54.08pp |
| 85%+ | Original Black-Scholes | 50-60% | 36+ days | 88.3% (35,765) | 34.3% (50,957) | +54.05pp |
| 80%+ | Original Black-Scholes | 50-60% | 36+ days | 80.6% (47,417) | 27.6% (39,305) | +53.00pp |
| 80%+ | Bayesian Calibrated | 70-80% | 36+ days | 78.8% (83,146) | 27.7% (5,871) | +51.13pp |
| 85%+ | Bayesian Calibrated | 60-70% | 36+ days | 79.8% (43,392) | 29.1% (17,033) | +50.73pp |
When writing put options to collect premium, you want options that expire worthless. This analysis shows that historical probability provides crucial additional information beyond current probability.